| 摘要: | 摘 要 從1990年代以來，台灣金融環境快速變化，歷經大幅開放民營銀行設立、信託投資公司改制商業銀行、推動公營銀行民營化、外商銀行併購本國銀行，使得金融同業競爭激烈。近年來為因應國際化，政府鼓勵金融機構開發各種金融商品，增加服務項目，推陳出新的資訊科技及財務工程大量應用，銀行業務日趨龐雜。有些銀行因錯誤的授信，高風險貸款增加，資產品質惡化，呆帳激增，導致銀行的經營風險倍增，甚至發生金融危機。因此，不論是金融機構或監理機關，都已意識到作業風險管理的重要。銀行面臨的風險仍以信用風險所占比重最高，約為60%；次為作業風險，約占30%；市場風險與其他風險，如信譽風險等則較低，各占5%。作業風險以往常被視為市場風險或信用風險的一部分，但隨著一些重大事件的發生，作業風險已成為業界關注的新焦點。 鑑於金融環境之變化，以及風險敏感性資本要求增加，巴塞爾銀行監理委員會於2004年6月26日，正式公布新資本協定（Basel II）並自2006年底起開始施行。新協定將信用風險、市場風險、作業風險等三種風險性資產，皆納入應計提之資本，以評估銀行資本適足率，充分反映銀行所能承受風險性資產之最低自有資本要求（minimum capital requirements），以期規範國際性的銀行風險承擔能力。 本研究主要目的有二： 一、探討影響國內銀行擬定作業風險管理策略之關鍵因素為何？ 二、探討國內銀行應如何落實作業風險管理策略以確保股東及利害關係人之權益？ 本研究針對新資本協定的三大支柱：最低資本、金融監理審查程序（Supervisory Review Process）、以及市場自律或資訊揭露（Market Discipline）深入分析，其次透過分析個案銀行作業風險管理四大要素：策略、組織、流程以及資訊等作業風險管理模式。本研究發現：政府法令與主管機關監理機制是影響銀行作業風險管理策略方向的主要因素；決定銀行是否能落實作業風險管理策略的因素包括：建立獨立有效的風險管理制度及全行風險管理文化；提升資本適足性管理以及落實定性定量風險資訊揭露，在新的風險管理制度下，能逐步降低信用、市場、作業及其他風險，讓銀行在競爭激烈的金融環境中取得較佳的競爭優勢。 關鍵字 ：新巴塞爾資本協定、作業風險管理 Key Words: BASEL II, Operational Risk Management Abstract Due to rapid changes in Taiwan’s financial environment, since the 1990’s, such as large opportunities for the establishment of privately-owned banks, the reform of investment trust companies to commercial banks, driven government-owned banks to privately-owned and encouraging foreign banks to merge with Taiwan’s banks, all these revolutions have made competitions severe amongst the financial industries. In recent years, the government urged financial institutions to develop various financial instruments to comply with the international markets, to increase service scopes and to constantly develop new information technology and financial engineering, because of this the banking operations have gradually become overloaded and over complicated. Moreover, because of improper credit granting, high risk loans have increased, asset quality gone down, and sharp rise in irrecoverable debts, have caused higher operating risks to banks, some even encountering financial crisis. Therefore, whether financial institutions or financial supervisory agencies, they all realized the importance of operational risk management. The credit risk is still the highest percentage for the banks approximately 60%, secondly is the operational risk, approximately 30%, and approximately 5% on market risk and 5 % other risks such as reputation risk. In the past, the operational risk was often considered to be part of the market or credit risks, but it has became a concern and new focus by the industry after some major incidents. Seeing the critical conditions in the financial environment and the increased demands and sensitivity to capital risk, the Basel Committee on Banking Supervision officially released the second of the Basel Accords (Basel II) on June 26, 2004, and begun the execution in the end of 2006. In order to regulate the risk bearing capacity of international banks, the Basel II embodied the three risk assets of credit, market and operational risks into the capital requirements to assess the capital adequacy ratio of banks, and fully reflect the minimum capital requirements of the risk assets that the banks can bear. The main purposes of this research are: To probe into what is the key factor that brought Taiwan’s banks to draw up the operational risk management strategy? To probe into how can the banks of Taiwan accomplish the operational risk management strategy to ensure the rights and benefits of the shareholders and the interested parties? This research aimed at the Basel II’s three pillars of minimum capital requirements, supervisory review processes and the market discipline (or information disclosures) for the in-depth analysis, and then through the case bank, proceed to analyze the four major essential factors of operational risk management; these are strategy, organization, procedure and information. We discovered that the government’s laws, decrees and supervisory mechanisms of the competent agencies are the major factors that affect the banks’ orientation regarding the operational risk management strategy. Nevertheless, the factors that determine if a bank can accomplish the operational risk management strategy include: establishing and reinforcing an independent and effective risk management mechanism, establish a risk management culture throughout the bank, advance capital adequacy management and complete the information disclosure related to risks that are qualitative and quantitative; together, assist the banks to approach the unity of risk management as well the business execution, thus ensuring the integrated development of the banks and further create the greatest benefits to their shareholders. Key Words: Basel II, Operational Risk Management |
